First Trust Sortino Ratio
| DDEC ETF | | | USD 46.81 0.08 0.17% |
The Sortino Ratio measures risk-adjusted return using only downside deviation rather than total volatility. Unlike the Sharpe Ratio, which penalizes both upside and downside volatility equally, the Sortino Ratio penalizes only returns below a target threshold, making it a more targeted measure of harmful volatility. Below is First Trust's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
First Trust's Sortino Ratio of 0.1035 reflects its current reading on this measure. This reflects First Trust's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1035 | |
| ER[a] | = | Expected return on investing in First Trust |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.13 for Sortino Ratio, with First Trust at 0.1035 falling below that level. Readings span 0.0823 (First Trust Exchange Traded) to 0.2965 (First Trust Exchange Traded). First Trust's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for First Trust and its peers. Each point represents one equity — position along the horizontal axis shows Sortino Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
With Sortino Ratio at
0.10 and Maximum Drawdown at
1.93 , First Trust shows a
18.63 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Sortino Ratio for First Trust.
Methodology, Assumptions & Data Sources
First Trust has a current Sortino Ratio reading of 0.1035. The Sortino Ratio for First Trust applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
Other Technical Indicators